What does Dns.GetHostEntry Method(String) actually do?

This is the list of addresses returned by

var ips = System.Net.Dns.GetHostEntry("microsoft.com").AddressList;
foreach (var ip in ips)
    Console.WriteLine(ip);

// output
64.4.11.37
65.55.58.201

And these are the A records pulled from network-tools.com, DNS query.

Answer records
microsoft.com       A   64.4.11.37  
microsoft.com       A   65.55.58.201

So I'd say it does pull A records.

Dns.GetHostEntry is built on top of the Windows API and does not use the DNS protocol directly. If IPv6 is enabled it will call getaddrinfo. Otherwise it will call gethostbyaddr. These functions may use the local %SystemRoot%\System32\drivers\etc\hosts file, DNS or even NETBIOS to resolve a host name to an IP address. Resolving a host name to an IP address using DNS will use CNAME records to find the A record.

You can test this by resolving www.google.com that at least right now has a CNAME record that points to www.l.google.com. Using Dns.GetHostEntry will return the IP addresses from the A records for www.l.google.com.